It's pretty straightforward: you either click on their profile or (if you know someone's username@server via some other medium), search for them on your 'home' server and you'll see their profile. Then just click the 'follow' button.
Under the covers this sets up the federated follow relationship, but the UX feels the same as following someone on twitter.
There is one slightly more complicated scenario; if for some reason you're exploring a different server and find someone there you want to follow. In that case you still click the follow button but have to provide _your_ username@server string which triggers the necessary back-and-forth to get the follow relationship set up.